M. Sc. Janis Müller

Janis Müller works as Consultant for PwC in Financial Services Consulting – Risk since 2014 and as research fellow at the Centre for Finance, Risk & Resource Management at TU Dortmund since 2015. He holds a M.Sc. in Business Mathematics from the University of Ulm. During his studies he spent one year at Lund University, Sweden, as exchange student, where he also did his master’s thesis in the area of pricing exotic derivatives, namely timer options.

During projects for mid-sized German and European Banks Janis gained experience in exposure simulation for calculating XVA, Credit Risk/Risk-Classification methods and pricing exotic derivatives at PwC. His research interest is mainly focused on current topics in risk management like the implications and issues arising from the replacement of Value at Risk by Expected Shortfall as part of FRTB.

We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity.

2018

@article{Müller2018b,
title = {Wrong-way-risk in tails},
author = {Janis Müller and Peter N Posch},
url = {https://doi.org/10.1057/s41260-018-0076-9},
doi = {10.1057/s41260-018-0076-9},
issn = {1479-179X},
year = {2018},
date = {2018-07-01},
journal = {Journal of Asset Management},
volume = {19},
number = {4},
pages = {205--215},
abstract = {With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty's credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty's default. With an extreme value approach, we model the tail of the joint distribution of different asset returns belonging to the above asset classes and counterparty credit risk indicated by changes in CDS spreads and calculate the effect on the expected shortfall when conditioning on counterparty credit risk. We find the conditional expected shortfall to be 2 to 440% higher than the unconditional expected shortfall depending on the asset class. Our results give insights both for risk management and for setting an initial margin for non-centrally cleared derivatives which becomes mandatory in the European Market Infrastructure Regulation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}

With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty's credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty's default. With an extreme value approach, we model the tail of the joint distribution of different asset returns belonging to the above asset classes and counterparty credit risk indicated by changes in CDS spreads and calculate the effect on the expected shortfall when conditioning on counterparty credit risk. We find the conditional expected shortfall to be 2 to 440% higher than the unconditional expected shortfall depending on the asset class. Our results give insights both for risk management and for setting an initial margin for non-centrally cleared derivatives which becomes mandatory in the European Market Infrastructure Regulation.

@article{GJP2016,
title = {Does the Introduction of Futures Improve the Efficiency of Bitcoin?},
author = {Gerrit Köchling and Janis Müller and Peter N Posch},
url = {https://doi.org/10.1016/j.frl.2018.11.006},
year = {2018},
date = {2018-02-26},
abstract = {Following up recent studies on the inefficiency of Bitcoin, we test the informational efficiency of Bitcoin before and after the launch of Bitcoin futures. Futures allow easier market access for institutional investors who improve price efficiency according to studies for the stock market. Regarding the period before the launch, our results are consistent with recent findings. From the involvement of institutional traders onwards, however, we cannot reject the informational efficiency hypothesis for any of our applied tests.},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}

Following up recent studies on the inefficiency of Bitcoin, we test the informational efficiency of Bitcoin before and after the launch of Bitcoin futures. Futures allow easier market access for institutional investors who improve price efficiency according to studies for the stock market. Regarding the period before the launch, our results are consistent with recent findings. From the involvement of institutional traders onwards, however, we cannot reject the informational efficiency hypothesis for any of our applied tests.

@article{Müller2018,
title = {Wrong-way-risk in tails},
author = {Janis Müller and Peter N Posch},
url = {https://doi.org/10.1057/s41260-018-0076-9},
doi = {10.1057/s41260-018-0076-9},
issn = {1479-179X},
year = {2018},
date = {2018-01-01},
journal = {Journal of Asset Management},
abstract = {With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty's credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty's default. With an extreme value approach, we model the tail of the joint distribution of different asset returns belonging to the above asset classes and counterparty credit risk indicated by changes in CDS spreads and calculate the effect on the expected shortfall when conditioning on counterparty credit risk. We find the conditional expected shortfall to be 2 to 440% higher than the unconditional expected shortfall depending on the asset class. Our results give insights both for risk management and for setting an initial margin for non-centrally cleared derivatives which becomes mandatory in the European Market Infrastructure Regulation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}

With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty's credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty's default. With an extreme value approach, we model the tail of the joint distribution of different asset returns belonging to the above asset classes and counterparty credit risk indicated by changes in CDS spreads and calculate the effect on the expected shortfall when conditioning on counterparty credit risk. We find the conditional expected shortfall to be 2 to 440% higher than the unconditional expected shortfall depending on the asset class. Our results give insights both for risk management and for setting an initial margin for non-centrally cleared derivatives which becomes mandatory in the European Market Infrastructure Regulation.

@article{KOCHLING2018b,
title = {Does the introduction of futures improve the efficiency of Bitcoin?},
author = {Gerrit Köchling and Janis Müller and Peter N Posch},
url = {http://www.sciencedirect.com/science/article/pii/S1544612318304124},
doi = {https://doi.org/10.1016/j.frl.2018.11.006},
issn = {1544-6123},
year = {2018},
date = {2018-01-01},
journal = {Finance Research Letters},
abstract = {The introduction of futures on Bitcoin eases the access of institutional investors to the market and offers an efficient way to short the cryptocurrency. We investigate the effect of this event on the market’s price efficiency and find the Bitcoin market to turn efficient. We conduct commonly used tests for market efficiency and check the robustness of our results by investigating Bitcoin Cash, a hard fork of Bitcoin, where we do not find a change in market’s efficiency.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}

The introduction of futures on Bitcoin eases the access of institutional investors to the market and offers an efficient way to short the cryptocurrency. We investigate the effect of this event on the market’s price efficiency and find the Bitcoin market to turn efficient. We conduct commonly used tests for market efficiency and check the robustness of our results by investigating Bitcoin Cash, a hard fork of Bitcoin, where we do not find a change in market’s efficiency.

In a consumption based asset pricing model one can calculate the volatility of (log-)consumption growth from the expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure ambiguity about consumption volatility. Using a long dataset we show this measure explains up to 69% of post-war variation in the market risk premium.

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